DALEX!! PROFITING WITH ETFs ! Authors: Gerald Gardner & Trent Gardner, TASC June 2008 ! Coded by: Richard Denning 04/10/08 ! CODING ABBREVIATIONS: H is [high]. H2 is val([high],2). L is [low]. L1 is val([low],1). C is [close]. C1 is val([close],1). O is [open]. PEP is {position entry price}. PD is {position days}. !! RSI WILDER ! To convert Wilder averaging to exponential averaging: ! ExponentialPeriods = 2 * WilderPeriod - 1. U is C - C1. D is C1 - C. W1 is 2. rsiLen1 is 2 * W1 - 1. AvgU is ExpAvg(iff(U>0,U,0),rsiLen1). AvgD is ExpAvg(iff(D>=0,D,0),rsiLen1). rsi2 is 100-(100/(1+(AvgU/AvgD))). !! TRADING SYSTEM ENTRY RULES: ! 1) Today's close is greater than 200 SMA and ! 2) Today the two-period RSI crosses below 2 ! 3) Enter on a limit order next day at today's low times 1.025 ! 4) When more signnals than needed choose by alphabetic sort ! based on the ETFs name SetUp if C > simpleavg(C,200) and rsi2 < 2 and valrule(rsi2 >=2,1). Buy if valrule(SetUp,1) and L=201. EntryPr is min(O,L1 * 1.025). !! TRADING SYSTEM EXIT RULES: ! 1) Profit target on limit set to high of two bars ago * 1.075 or ! 2) Next day profit exit if today's close is greater than high of ! two bars ago then exit at market next day or ! 3) Exit next bar at market if position days >= 6. ProfitTgt if H > H2 * 1.075. ProfitNext if C > H2. TimeExit if PD >= 6. Exit if ProfitTgt or valrule(ProfitNext,1) or valrule(TimeExit,1). ExitPrice is iff(ProfitTgt and not valrule(ProfitNext,1) and not valrule(TimeExit,1),H2*1.075,iff(valrule(ProfitNext,1),O, iff(valrule(TimeExit,1),O,-99))). ! ---------------------------------OTHER CODE NOT IN TASC--------------------------------- List if 1. Name is description(). FirstDate is firstdatadate(). !AIQ LONG TERM RELATIVE STRENGTH !Coded by Rich Denning on 12/14/00 W is 1. LTL is 120/W. Q3 is LTL/4. Q2 is (LTL - Q3) / 3. Q1 is (LTL - Q2 - Q3) / 2. Q0 is LTL - Q1 - Q2 - Q3. ROCq3LT is (val([close],Q2,(Q1+Q0)) - val([open],Q3,(Q2+Q1+Q0))) / val([open],Q3,(Q2+Q1+Q0)) * 100. ROCq2LT is (val([close],Q1,Q0) - val([open],Q2,(Q1+Q0))) / val([open],Q2,(Q1+Q0)) * 100. ROCq1LT is (val([close],Q0,0) - val([open],Q1,Q0)) / val([open],Q1,Q0) * 100. ROCq0LT is ([close] - val([open],Q0,0)) / val([open],Q0,0) * 100. RS_AIQLT is ROCq0LT * 0.40 + ROCq1LT * 0.20 + ROCq2LT * 0.20 + ROCq3LT * 0.20. RS_AIQLT1 is valresult(RS_AIQLT,1). GRS_AIQLT is TickerUDF(RSticker(),RS_AIQLT). GRS_AIQLT1 is valresult(GRS_AIQLT,1). OTC_AIQLT is TickerUDF("OTC",RS_AIQLT). !AIQ MID TERM RELATIVE STRENGTH !Coded by Rich Denning on 12/14/00 MTL is 60/W. Q3m is MTL / 4. Q2m is (MTL - Q3m) / 3. Q1m is (MTL - Q2m - Q3m) / 2. Q0m is MTL - Q1m - Q2m - Q3m. ROCq3m is (val([close],Q2m,(Q1m+Q0m)) - val([open],Q3m,(Q2m+Q1m+Q0m))) / val([open],Q3m,(Q2m+Q1m+Q0m)) * 100. ROCq2m is (val([close],Q1m,Q0m) - val([open],Q2m,(Q1m+Q0m))) / val([open],Q2m,(Q1m+Q0m)) * 100. ROCq1m is (val([close],Q0m,0) - val([open],Q1m,Q0m)) / val([open],Q1m,Q0m) * 100. ROCq0m is ([close] - val([open],Q0m,0)) / val([open],Q0m,0) * 100. RS_AIQmt is ROCq0m * 0.40 + ROCq1m * 0.20 + ROCq2m * 0.20 + ROCq3m * 0.20. RS_AIQmt1 is valresult(RS_AIQmt,1). GRS_AIQmt is TickerUDF(RSticker(),RS_AIQmt). GRS_AIQmt1 is valresult(GRS_AIQmt,1). OTC_AIQmt is TickerUDF("OTC",RS_AIQmt). !AIQ VERY SHORT TERM RELATIVE STRENGTH !Coded by Rich Denning on 12/14/00 !Parameters supplied by AIQ for weights were 40%, 20%, 20%, 20%. STL is 32/W. Q3s is STL / 4. !! Code error discovered 6/28/06 was LTL / 4 Q2s is (STL - Q3s) / 3. Q1s is (STL - Q2s - Q3s) / 2. Q0s is STL - Q1s - Q2s - Q3s. ROCq3s is (val([close],Q2s,(Q1s+Q0s)) - val([open],Q3s,(Q2s+Q1s+Q0s))) / val([open],Q3s,(Q2s+Q1s+Q0s)) * 100. ROCq2s is (val([close],Q1s,Q0s) - val([open],Q2s,(Q1s+Q0s))) / val([open],Q2s,(Q1s+Q0s)) * 100. ROCq1s is (val([close],Q0s,0) - val([open],Q1s,Q0s)) / val([open],Q1s,Q0s) * 100. ROCq0s is ([close] - val([open],Q0s,0)) / val([open],Q0s,0) * 100. RS_AIQst is ROCq0s * 0.40 + ROCq1s * 0.20 + ROCq2s * 0.20 + ROCq3s * 0.20. RS_AIQst1 is valresult(RS_AIQst,1). GRS_AIQst is TickerUDF(RSticker(),RS_AIQst). GRS_AIQst1 is valresult(GRS_AIQst,1). OTC_AIQst is TickerUDF("OTC",RS_AIQst). 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